PerformanceAnalytics (version 0.9.5)

CoSkewness: calculate the co-moment for skewness of two assets

Description

CoSkewness is the product of the third higher moments of two assets.

Usage

CoSkewness( Ra, Ri, na.rm = FALSE )

Arguments

Ra

return vector of asset being considered for addition to portfolio

Ri

return vector of initial portfolio

na.rm

TRUE/FALSE Remove NA's from the returns?

Value

• value of coskewness of Ri and Ra

Details

$$CoS_{a,b}=\sum((R_{a}-\bar{R_{a}})(R_{i}-\bar{R_{i}})^{2})$$

References

Martellini L., Vaissie M., Ziemann V. October 2005. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. Edhec Risk and Asset Management Research Centre. Equation [5] p. 10

Martellini L. and Ziemann V. 2005. Marginal Impacts on Portfolio Distributions. Working Paper, Edhec Risk and Asset Management Research Centre

See Also

BetaCoSkewness skewness